The vehicles were taken from the airport by Huthi fighters following the evacuation of the US embassy in the capital, the sources said.
As well as three diplomatic cars used by Ambassador Matthew Tueller and his staff, the militiamen seized more than 25 vehicles used by Marines in charge of embassy security, sources at the airport said.
Some of the vehicles were armoured, the sources said, adding that Yemeni drivers had been detained after taking the Americans to the airport, from where embassy staff went to Oman.
Britain also evacuated its diplomats and France called on its citizens to leave the country, announcing it was closing its embassy from February 13.
The Huthi militia, which entered the capital unopposed last September, ousted Yemen's Western-backed president last week in a move denounced by some neighbouring states as a coup.